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The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break
Neto, David - In: Economics letters 125 (2014) 2, pp. 208-211
Persistent link: https://www.econbiz.de/10010505390
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Testing for and dating structural break in smooth time-varying cointegration parameters, with an application to retail gasoline price and crude oil price long-run relationship
Neto, David - In: Empirical economics : a journal of the Institute for … 49 (2015) 3, pp. 909-928
Persistent link: https://www.econbiz.de/10011377316
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Are Google searches making the Bitcoin market run amok? : A tail event analysis
Neto, David - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012822265
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Will the real carbon pricing please stand up?
Fugazza, Marco; Neto, David - In: Economic notes 53 (2024) 3, pp. 1-11
Persistent link: https://www.econbiz.de/10015135539
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Estimation and testing for the cointegration rank in a threshold cointegrated system
Krishnakumar, Jayalakshmi; Neto, David - 2009
Persistent link: https://www.econbiz.de/10003926954
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Moments structure of l 1-stochastic volatility models
Neto, David; Sardy, Sylvain - 2009
Persistent link: https://www.econbiz.de/10003926961
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l 1 - penalized likelihood smoothing of volatility processes allowing for abrupt changes
Neto, David; Sardy, Sylvain; Tseng, Paul - 2009
Persistent link: https://www.econbiz.de/10003926975
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Partial cointegration
Krishnakumar, Jayalakshmi (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003598669